Noël Wells opens her new film, Mr. Roosevelt, with a frenetic and unsuccessful audition that nonetheless highlights her uncanny knack for impressions. It was exactly that talent that landed her a spot on Saturday Night Live in 2013. But despite some solid sketch work—including a killerLena Dunham impression—Wells was cut from the show after only one season. But along with a number of other cut-too-soon women—like Michaela Watkins, Casey Wilson, and Jenny Slate—Wells is now carving her own comedic path and shining even brighter outside the mainstream. And after writing, directing, and starring in the warmly recieved Mr. Roosevelt at the South by Southwest film festival, Wells sat down with Vanity Fair to reveal how she found success in thinking outside the comedy box.

The universal acclaim she garnered for her work in Aziz Ansari’s award-winning 2015 series, Master of None, may have taken some of the sting out of that S.N.L. dismissal for Wells. As Ansari’s girlfriend, Rachel, she exuded effortless charm. But the 30-year-old Texas native was wary of being typecast in the role of “cute” love interest—she hates the words “quirky” and “kooky.” So she made like Ansari and wrote a comedically exaggerated version of her own life story. Mr. Roosevelt follows a struggling L.A. comedian (Wells) who returns home to Texas to mourn the death of a loved one and get some closure with her ex (Nick Thune), his new girlfriend (Britt Lower), and a cast of eccentric Austin characters.

“S.N.L. is the comedy establishment ,” Wells says of her early exit from Studio 8H. “Of course you want to go through that, because you want that stamp of approval. But it has its own identity, and our voices didn’t mesh for whatever reason—or they decided we didn’t belong. I think a lot of us would have liked to keep trying and have our own voices shine through. For whatever reason, we got rejected. But that’s O.K.! It’s actually more rock ’n’ roll. The quicker you find out that you’re not going to go through the Establishment, the quicker you can decide to make your own version of how you want your craft to be.”

“I think telling S.N.L. that they have to accept us is just going to water us down,” Wells says of her fellow alums finding their own path to comedy greatness. “We’re much stronger doing our own things. Don’t we want to make rock ’n’ roll? Why are we all trying to be accepted by all these comedy dinosaurs? S.N.L. has become what it was always trying to make fun of. It’s become this big machine. I don’t want to be plugged into a machine.”

Mr. Roosevelt shares a lot of DNA with other SXSW breakouts, including 2014 jury prize winner Fort Tilden and the film that kickstarted Lena Dunham’s career, Tiny Furniture. But while those films divided audiences thanks to their unflinching portrayal of meandering, off-putting millennial women, Mr. Roosevelt neatly sidesteps that issue in its main character. In other words: Wells may have an uncanny Lena Dunham impression in her arsenal, but she’s not doing one here. Mr. Roosevelt boasts a pair of female foils—an uptight perfectionist romantic rival (Lower) and a loose-cannon new friend (Daniella Pineda)—and presents a wider spectrum of the millennial female experience.

But best of all, Wells makes it so easy to see how talented her struggling artist character is. (Which is not always the case in these kinds of stories: how do we really know how gifted a writer Hannah Horvath is?) Wells jokes that Emily’s impressions are “good but kind of hack-y.” A physical-comedy sequence midway through the movie, though—in which Wells is silently clowning (in the Buster Keaton sense) around as Thune serenades her—is a shockingly great display of comedic prowess. Still, Wells is modest about it. “Look at all that potential. She’s trying to circle around. Stab in the dark at different versions of her talent. I wanted it to be somewhere in the middle. She’s trying to impress people who just don’t get it.”

That might be true of Emily Martin, but it’s certainly not of Wells. Now that she’s playing to a crowd that gets her (the SXSW audience endured a number of technical difficulties at Sunday’s premiere in order to give Wells and her film a standing ovation), Wells is the very definition of impressive.